Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 17 16 16
Score 5.11 3.92 4.65
Market Cap (Millions USD) 5307.57 5112.77 5056
Predicted Beta 1.5 1.49 1.45
Idiosyncratic Volatility 0.92 1.1 1.22

Annualized return and volatility

OEF
Annualized Return 0.0558
Annualized Std Dev 0.1839
Annualized Sharpe (Rf=0%) 0.3034

Row

Daily Return Statistics

OEF
Observations 4901.0000
NAs 213.0000
Minimum -0.0884
Quartile 1 -0.0042
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0054
Maximum 0.1162
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0116
Skewness 0.0222
Kurtosis 9.7970

Downside Risk

OEF
Semi Deviation 0.0083
Gain Deviation 0.0084
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5411
Historical VaR (95%) -0.0179
Historical ES (95%) -0.0283
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0208
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-09-06 -0.5411 1259 364 895
2000-11-08 2002-10-09 2007-05-03 -0.4717 1655 487 1168
2018-10-04 2018-12-24 2019-04-22 -0.1960 138 57 81
2015-07-21 2015-08-25 2015-11-03 -0.1313 77 27 50
2015-11-04 2016-02-11 2016-04-19 -0.1226 115 69 46

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec OEF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 0.3 2.2 0 2.5
2001 0.7 0.1 0.0 1.6 0.6 0.0 -1.0 0.0 0.4 2.3 0.0 0 4.8
2002 -0.6 2.0 -0.4 0.7 0.0 -1.3 -2.7 0.0 4.0 1.6 0.0 0 3.2
2003 0.0 0.0 1.6 0.1 0.0 0.8 -1.0 0.0 2.2 0.0 1.0 0 4.8
2004 0.0 0.7 0.6 0.0 -0.3 -1.1 0.0 -0.3 1.5 0.2 1.4 0 2.8
2005 0.6 0.5 -0.6 0.0 0.9 0.1 -0.1 -0.5 0.0 -0.4 0.9 0 1.5
2006 0.2 0.8 0.0 -0.5 0.9 0.0 -0.4 0.5 0.0 -0.6 -0.3 0 0.7
2007 0.4 -0.3 0.0 0.3 0.4 0.0 0.7 0.0 1.3 -2.5 0.0 0 0.3
2008 -0.4 0.0 3.7 1.7 0.0 0.5 -0.4 0.0 3.0 0.0 -8.1 0 -0.6
2009 0.0 0.0 1.9 0.6 1.5 0.4 0.0 -2.3 -2.3 0.0 1.1 0 0.8
2010 1.3 0.8 0.6 0.0 -1.4 -0.5 0.0 2.8 0.5 0.0 2.1 0 6.5
2011 1.7 -1.6 0.3 0.0 -2.2 1.4 -0.2 -0.9 0.0 -2.6 -0.1 0 -4.2
2012 0.7 0.6 0.0 0.6 -2.3 0.0 -0.2 0.0 0.3 1.0 0.0 0 0.6
2013 1.0 0.3 -0.2 -0.7 0.0 0.7 1.0 0.0 0.8 0.2 0.0 0 3.2
2014 0.0 0.0 0.6 -0.1 0.0 0.8 -0.4 0.0 -1.3 0.0 -0.7 0 -1.2
2015 0.0 0.0 -0.4 1.0 0.2 0.8 0.0 -3.0 0.3 0.0 1.0 0 -0.1
2016 0.0 2.6 0.8 0.0 0.1 0.2 0.0 0.0 0.0 -0.6 -0.2 0 2.7
2017 0.2 1.4 0.0 0.3 0.6 0.0 0.3 0.1 0.0 0.3 -0.1 0 3.1
2018 0.0 -1.4 0.0 0.2 1.1 0.0 0.2 0.0 0.5 0.9 0.0 0 1.4
2019 -0.1 0.7 1.2 -0.5 0.0 0.9 -0.8 0.0 -1.2 0.9 0.0 0 1.1

Row

Rolling Performance Chart

Snail Trail Chart